Her first book, Even Mississippi, a memoir of Southern politics, was published in 1989, and received the Lillian Smith Award, the Mississippi Authors Award, the Gustavas Myers Outstanding Book on Human Rights, and a nomination for the Pulitzer Prize.

Her first novel, The Persia Café, was published in 2001 to wide praise. The story of a race murder set in a small Mississippi River town in 1962, the novel explores identity, friendship, family, community and race in a turbulent time in American history. A month after the book's publication, publisher HarperCollins identified eight separate sentences copied from Barbara Kingsolver's 1988 novel The Bean Trees. Neilson immediately changed the eight sentences and her publisher, St. Martin's, printed them in future editions.. According to St. Martin's, Neilson apologized in a letter to Kingsolver for "the unintentional inclusion of the language in question," and offered to apologize in person.